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Theorie
Option pricing theory
67
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67
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45
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42
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31
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Joshi, Mark S.
43
Chan, Jiun Hong
10
Chao Yang
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Tang, Robert
4
Beveridge, Christopher
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Denson, Nick
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Fries, Christian P.
3
Yang, Chao
3
Wiguna, Alexander
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Wright, Will M.
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Zhu, Dan
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Chan, Juin Hong
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Denson, Nicholas
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Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
27
International journal of theoretical and applied finance
2
The journal of computational finance
2
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
The journal of futures markets
1
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ECONIS (ZBW)
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Achieving higher order convergence for the prices of European pptions in binomial trees
Joshi, Mark S.
(
contributor
)
-
2007
Persistent link: https://www.econbiz.de/10003632930
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2
Achieving decorrelation and speed simultaneously in the Libor market model
Joshi, Mark S.
(
contributor
)
-
2006
Persistent link: https://www.econbiz.de/10003297310
Saved in:
3
Partial proxy simulation schemes for generic and robust Monte-Carlo greeks
Fries, Christian P.
(
contributor
); …
-
2006
Persistent link: https://www.econbiz.de/10003632936
Saved in:
4
Comparing discretisations of the libor market model in the spot measure
Beveridge, Christopher
(
contributor
); …
-
2008
Persistent link: https://www.econbiz.de/10003797790
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5
Smooth simultaneous calibration of the LMM to caplets and coterminal swaptions
Ametrano, Ferdinando M.
(
contributor
); …
-
2008
Persistent link: https://www.econbiz.de/10003797794
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6
Conditional analytic Monte-Carlo pricing schemes of auto-callable products
Fries, Christian P.
(
contributor
); …
-
2008
Persistent link: https://www.econbiz.de/10003797798
Saved in:
7
Trinomial or binomial : accelerating American put option price on trees
Chan, Juin Hong
;
Joshi, Mark S.
;
Tang, Robert
;
Chao Yang
-
2008
Persistent link: https://www.econbiz.de/10003797820
Saved in:
8
Trinomial or binomial : accelerating American put option price on trees
Chan, Jiun Hong
;
Joshi, Mark S.
;
Tang, Robert
;
Chao Yang
- In:
The journal of futures markets
29
(
2009
)
9
,
pp. 826-839
Persistent link: https://www.econbiz.de/10003900848
Saved in:
9
Pricing and Deltas of discretely-monitored barrier options using stratified sampling on the hitting-times to the barrier
Joshi, Mark S.
;
Tang, Robert
- In:
International journal of theoretical and applied finance
13
(
2010
)
5
,
pp. 717-750
Persistent link: https://www.econbiz.de/10008904339
Saved in:
10
Fast and accurate pricing and hedging of long-dated CMS spread options
Joshi, Mark S.
;
Chao Yang
- In:
International journal of theoretical and applied finance
13
(
2010
)
6
,
pp. 839-865
Persistent link: https://www.econbiz.de/10008905112
Saved in:
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